Detail for 25
Portfolios Formed Monthly on Size and Short-Term Reversal

Monthly
Returns:

February 1926-September 2018

Annual
Returns:

1927-2017

Construction:

The
portfolios, which are constructed monthly, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on prior
(1-1) return. The monthly size breakpoints are the NYSE market quintiles. The monthly
prior (1-1) return breakpoints are NYSE quintiles.

Stocks:

The
portfolios constructed each month include NYSE, AMEX, and NASDAQ stocks with
prior return data. To be included in a portfolio for month t in the monthly
returns (formed at the end of month t-1), a stock must have a price for the end of month t-2 and a
good return for t-1. Each included stock also must have ME for the end of month t-1.